Access Statistics for Carlos Velasco

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A distribution-free transform of the residuals sample autocorrelations with application to model checking 0 0 0 40 1 3 4 154
A new class of distribution-free tests for time series models specification 0 0 0 77 2 13 14 198
A new class of distribution-free tests for time series models specification 0 0 0 47 0 2 4 114
A simple and general test for white noise 0 1 1 1,153 2 7 9 3,937
A wald test for the cointegration rank in nonstationary fractional systems 0 0 0 74 0 5 13 285
Autocorrelation-Robust Inference - (Now published in 'Handbook of Statistics', vol.15, G S Maddala and C R Rao (eds), Elsevier Science Publishers BV (1997), pp.267-298.) 0 0 0 0 0 4 8 46
Class Attendance and Academic Performance among Spanish Economics Students 0 0 1 135 0 5 11 785
Delayed Overshooting: It's an 80s Puzzle 0 0 0 10 1 4 7 88
Distribution Free Goodness-of-Fit Tests for Linear Processes 0 0 0 3 0 7 9 33
Distribution free goodness-of-fit tests for linear processes 0 0 0 2 0 3 7 30
Distribution-free Tests of Fractional Cointegration 0 0 0 98 0 3 3 256
Do Foreign Excess Return Regressions Convey Valid Information? 0 0 0 22 1 2 3 98
Edgeworth Expansions for Spectral Density Estimates and Studentized Sample Mean - (Now published in Economic Theory, 17 (2001), pp.497-539 0 0 0 1 0 4 6 26
Edgeworth expansions for spectral density estimates and studentized sample mean 0 0 0 2 2 10 13 48
Edgeworth expansions for spectral density estimates and studentized sample mean 0 0 0 2 0 2 3 27
Efficient Inference on Fractionally Integrated Panel Data Models with Fixed Effects 0 0 0 2 0 2 6 28
Efficient inference on fractionally integrated panel data models with fixed effects 0 0 1 15 0 4 6 39
Efficient inference on fractionally integrated panel data models with fixed effects 0 0 0 2 0 0 3 28
Efficient wald tests for fractional unit roots 0 0 0 151 1 7 8 344
Estimation of Fractionally Integrated Panels with Fixed Effects and Cross-Section Dependence 0 0 0 46 1 3 3 83
FRACTIONAL COINTEGRATING REGRESSION IN THE PRESENCE OF LINEAR TIME TRENDS 0 0 0 0 1 3 7 259
Fractional Cointegration Rank Estimation 0 0 1 35 0 8 15 77
Fractional cointegration rank estimation 0 0 0 48 1 4 8 151
Gaussian semiparametric estimation of non-stationary time series 0 0 0 6 1 2 5 47
Generalized spectral tests for the martingale difference hypothesis 0 0 0 18 0 5 18 99
Inference on trending panel data 0 0 0 6 1 5 5 16
Instrumental variable estimation via a continuum of instruments with an application to estimating the elasticity of intertemporal substitution in consumption 0 0 3 70 5 10 19 75
LM tests for joint breaks in the dynamics and level of a long-memory time series 0 0 0 11 2 3 4 24
Local cross validation for spectrum bandwidth choice 0 0 0 0 2 9 9 18
Model Adequacy Checks for Discrete Choice Dynamic Models 0 0 0 1 0 2 5 21
Model Adequacy Checks for Discrete Choice Dynamic Models 0 0 0 111 0 5 9 290
New Goodness-of-fit Diagnostics for Conditional Discrete Response Models 0 0 0 40 0 6 8 56
New Goodness-of-fit Diagnostics for Conditional Discrete Response Models 0 0 0 78 0 5 5 162
Non-Gaussian log-periodogram regression 0 0 0 3 0 1 2 34
Non-stationary log-periodogram regression 0 0 0 0 0 3 5 30
On the Properties of Regression Tests of Asset Return Predictability 0 0 0 76 0 3 5 158
Optimal Fractional Dickey-Fuller Tests for Unit Roots 0 0 0 103 0 2 2 268
Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects 1 1 1 43 1 2 3 34
Residual Log-Periodogram Inference for Long-Run Relationships 0 0 0 10 0 7 13 143
Residual Log-Periodogram Inference for Long-Run-Relationships 0 0 0 0 1 6 7 18
Residual Log-Periodogram Inference for Long-Run-Relationships 0 0 1 1 0 7 13 22
Residual log-periodogram inference for long-run relationships 0 0 0 0 0 5 9 17
Specification Tests of Parametric Dynamic Conditional Quantiles 0 0 0 3 0 2 7 23
Specification tests of parametric dynamic conditional quantiles 0 0 0 3 1 9 13 58
Testing the Martingale Difference Hypothesis Using Integrated Regression Functions 0 0 0 113 0 3 10 426
Tests for m-dependence Based on Sample Splitting Methods 0 0 0 53 1 11 15 160
The Forward Discount Puzzle: Identi cation of Economic Assumptions 0 0 0 30 0 5 11 151
Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series - (Now published in Journal of the American Statistical Association, 95, (2000), pp.1229-1243.) 0 0 0 8 0 9 9 36
Whittle pseudo-maximum likelihood estimation for nonstationary time series 0 1 2 20 0 6 7 74
Total Working Papers 1 3 11 2,772 28 238 388 9,594

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A JOINT PORTMANTEAU TEST FOR CONDITIONAL MEAN AND VARIANCE TIME-SERIES MODELS 0 0 0 5 0 2 3 45
A SIMPLE TEST OF NORMALITY FOR TIME SERIES 0 0 0 43 1 2 5 125
A Wald test for the cointegration rank in nonstationary fractional systems 0 0 0 64 0 4 9 270
An Asymptotically Pivotal Transform of the Residuals Sample Autocorrelations With Application to Model Checking 0 0 0 14 0 7 9 81
BOOTSTRAP ASSISTED SPECIFICATION TESTS FOR THE ARFIMA MODEL 0 0 0 11 0 2 3 71
Comments on: A review on empirical likelihood methods for regression 0 0 0 9 0 3 4 53
Comments on: Model-free model-fitting and predictive distributions 0 0 0 0 0 4 4 36
Comments on: Subsampling weakly dependent time series and application to extremes 0 0 1 5 0 0 1 32
Consistent Testing of Cointegrating Relationships 0 0 0 145 1 6 8 455
DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION 0 0 0 22 1 1 3 90
Delayed Overshooting: Is It an '80s Puzzle? 0 0 1 54 2 11 21 259
Directional predictability tests 0 0 4 4 1 5 12 12
Distribution-free specification tests for dynamic linear models 0 0 0 23 1 6 12 173
Distribution-free tests for time series models specification 0 0 0 21 0 3 5 93
EDGEWORTH EXPANSIONS FOR SPECTRAL DENSITY ESTIMATES AND STUDENTIZED SAMPLE MEAN 0 0 0 10 0 6 6 49
ESTIMATION FOR DYNAMIC PANEL DATA WITH INDIVIDUAL EFFECTS 0 1 2 14 0 4 7 27
Efficiency improvements for minimum distance estimation of causal and invertible ARMA models 0 0 0 3 0 0 4 30
Efficient Wald Tests for Fractional Unit Roots 0 0 0 145 0 3 6 445
Efficient inference on fractionally integrated panel data models with fixed effects 0 0 1 12 1 6 20 87
Estimation of fractionally integrated panels with fixed effects and cross-section dependence 0 0 0 12 0 0 4 55
Fractional Cointegration Rank Estimation 0 0 0 8 0 6 9 46
Fractional cointegration in the presence of linear trends 0 0 0 34 0 2 4 132
Gaussian Semiparametric Estimation of Non‐stationary Time Series 0 1 2 3 3 11 13 30
Gaussian Semi‐parametric Estimation of Fractional Cointegration 0 0 0 63 0 5 7 201
Generalized spectral tests for the martingale difference hypothesis 1 4 6 191 5 12 25 507
Identification and Estimation of Structural VARMA Models Using Higher Order Dynamics 0 0 1 6 1 4 15 28
Inference on trending panel data 0 0 0 3 0 2 4 34
LM Tests for Joint Breaks in the Dynamics and Level of a Long-Memory Time Series 0 0 0 6 2 7 11 26
Lecture Attendance, Study Time, and Academic Performance: A Panel Data Study 0 2 9 30 6 23 66 193
Local Cross‐validation for Spectrum Bandwidth Choice 0 0 0 0 0 4 4 9
Long Memory in Stock-Market Trading Volume 0 0 0 0 2 7 13 1,220
NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION 0 0 0 27 1 4 5 99
New goodness-of-fit diagnostics for conditional discrete response models 0 0 0 8 0 5 13 84
Non-stationary log-periodogram regression 0 0 1 129 0 4 11 345
On the Properties of Regression Tests of Stock Return Predictability Using Dividend-Price Ratios 0 0 0 9 0 1 2 43
On the Properties of Regression Tests of Stock Return Predictability Using Dividend-Price Ratios 0 0 0 0 0 2 3 14
Optimal Fractional Dickey-Fuller tests 0 0 0 86 0 6 9 438
Persistence Heterogeneity Testing in Panels with Interactive Fixed Effects 0 0 0 3 0 3 4 33
Power comparison among tests for fractional unit roots 0 0 0 30 0 4 5 80
Recursive lower and dual upper bounds for Bermudan-style options 0 0 0 3 0 1 2 13
Residual log-periodogram inference for long-run relationships 0 0 0 107 1 2 3 415
Sign tests for long-memory time series 0 0 0 83 0 3 4 206
Single step estimation of ARMA roots for nonfundamental nonstationary fractional models 0 0 1 3 2 8 13 17
Specification tests of parametric dynamic conditional quantiles 0 0 1 68 1 4 8 180
Testing the martingale difference hypothesis using integrated regression functions 0 0 0 51 0 5 7 130
Tests for m-dependence based on sample splitting methods 0 0 0 34 0 7 10 172
The Periodogram of fractional processes1 0 0 0 26 0 3 4 72
The optimal method for pricing Bermudan options by simulation 0 0 0 3 1 6 7 27
Trend stationarity versus long-range dependence in time series analysis 0 0 0 52 1 5 5 191
Trimming and Tapering Semi‐Parametric Estimates in Asymmetric Long Memory Time Series 0 0 0 41 2 7 8 204
Total Journal Articles 1 8 30 1,723 36 238 440 7,677

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